2 papers
math.OC2024
Tractable Robust Markov Decision Processes
Julien Grand-Clément, Nian Si, Shengbo Wang
In this paper we investigate the tractability of robust Markov Decision Processes (RMDPs) under various structural assumptions on the uncertainty set. Surprisingly, we show that in…
math.OC2024
An Efficient High-Dimensional Gradient Estimator for Stochastic Differential Equations
Shengbo Wang, Jose Blanchet, Peter Glynn
Overparameterized stochastic differential equation (SDE) models have achieved remarkable success in various complex environments, such as PDE-constrained optimization, stochastic c…